Mashup of Projects

Navigation

Just going to put this out there, not sure how accurate it will be. It is using the weather forecast for Calgary to predict the AIL. It is using the AESO wind power production forecast to predict the wind generation. It’s using the 2 month old Merit order (minus any plants that are currently offline), to predict the price.

2018-05-24

Hour Ending

Predicted Price

Predicted AIL (MW)

Forecast Temp(C)

Forecast Wind Power(MW)

13

733.333333333

10184.0

25.00

658.70

14

900.0

10287.1397966

26.00

669.10

15

903.3325

10381.558591

27.00

693.30

16

903.3325

10365.8575526

26.33

705.30

17

903.3325

10341.0331881

25.67

697.50

18

900.0

10305.6211356

25.00

703.50

19

733.333333333

10179.848162

23.00

723.50

20

623.0

10044.0911869

21.00

745.50

21

175.418307692

9898.60718863

19.00

775.10

22

60.4

9743.81957749

17.00

812.60

23

38.82

9580.31095074

15.00

856.30

Here is a link to the prediction results, in case the above is cached.

I just downloaded more recent bids (May 2017) from AESO and went through them, to create this live updating graph:

The bids are definitely changing alot, so I’m not sure how long this will be relevant for, I’m pleased with it. For more on the methodology behind this, keep reading. I have also made some interesting charts of how the generator bids progress between each other.

Alot has changed on the Alberta power market since the addition of a province wide carbon tax. Namely alot of power generation has increased their bids in order to compensate. I re-created an average Alberta Merit Order for the time period between Jan 1, and Mar 1 2017. It looks really accurate. At the time of writing the AIL (Alberta Internal Load) was 8774MW, and the price was $28.11/MWh. The details of how the graph is generated are very long, and I will go into that on another post. As you can see by this, the power price will be spiking up with increased loads unlike that last few years. See below:

As you can see, it is more likely that we will see the price spike up to $1000/MWh in 2017 if the provincial load hits over 11500MW, and/or if there are units offline.

Went through some stocks on the TSX, and took the percent changes over different time periods over many years, and found the standard deviation of those changes. These are useful for calculating options prices, as those depend upon the likelihood of the stock price reaching the strike price of the option.